Finance Ph.D.

We've moved

2011-08-03T01:42:00.000-04:00

For now, I'm trying to keep my blog at Typepad (http://financephd.typepad.com)

Corporate Misconduct and Reputation

2011-08-01T22:23:00.001-04:00

I have had the luck of being assigned to Jonathan Karpoff as a Research Assistant for the summer. Not only he is really great to work with, but he also studies a subject that will hopefully be the theme of my dissertation: corporate misconduct and reputation.

I have been working on this for about a month, and read 56 papers about corporate misconduct and reputation. The vast majority are about financial misrepresentation, but some are about more "movie-like" types of misconduct. Fifty-six papers is a hefty number for a month, and by now I surely know a little bit about corporate misconduct, maybe "just enough to be dangerous": there's a lot that I don't know, but sometimes I feel confident enough to give suggestions to people that clearly know a great deal more than I do.

Case in point, a paper by Langus, Motta and Aguzzoni called "The Effect of EU Antitrust Investigations and Fines on Firm's Valuations". It is a great paper and I have almost presumed to send the authors an email suggesting that they look into some similar literature and also suggesting that they address a couple additional points.

The paper describes "dawn raids" performed by the EU antitrust authority to try to find evidence that companies are participating in cartels or illegal monopolies and concludes that the companies' stock prices are punished much more than the fines, mostly because the (economically profitable) activity is now likely to end. It doesn't mention similar literature about financial misconduct that comes to the same conclusion, or the economic theory of reputation of Klein-Laffler and Shapiro.

My presumption would probably cost me my chances of living in Barcelona or Milan when I finish the Ph.D., and I can't risk something like that.

Clear Excel styles and solve the "Too Many Different Cell Formats" error

2011-04-20T16:34:00.002-04:00

It may have happened to you.

You are working with Excel for hours and then, maybe after a big paste, maybe after inserting a row, you get the error "Too many different cell formats". Sometimes Excel crashes, sometimes you just can't format the spreadsheet the way you want.

There's a simple tool that clears the unused styles from your file, at XL Geek. I was working on a 5MB file that was crashing rather frequently. I know enough to clean a lot of common things and ended up with 500Kb and a bunch of corrupted styles (see picture above - the 386 grabber is a common one). I used the tool and got to 17Kb. It cleaned more than 6000 unused styles.

It's simple to use and it uses .NET 4.0. If you use Excel frequently and occasionally see the "386 grabber" style, give it a try.

Supply and Demand

2011-04-18T05:36:00.000-04:00

The supply and demand slides that I use in the quiz session at UW Foster School of Business. This is the Spring 2011 version. There are two good things about them:

They have a table for simultaneous shifts in supply and demand that can be handy for undergrads that are short on time

They have some exercises with answers

Download B ECON 300 - Quiz Session - April 12-15

Do you want to work at Google? Your GPA is not that important.

2011-04-07T05:00:00.000-04:00

I keep telling my students that the GPA doesn't matter. Some students get super stressed when they get a 3.4 in a test or a 3.7 in homework, and many cheat - and sometimes covertly admit they have cheated - just to improve their GPA.

So I'll quote the CNN article "So you want to work at Google":

You'll be heartened to hear that a 3.0 GPA doesn't necessarily wreck your prospects at Google. McDowell acknowledges that the 3.7-or-higher-GPA myth is widespread, but she discounts it. "When I joined Google, my team of eight people included three who didn't have college degrees at all," recalls McDowell. "And our next college hire had a GPA that wasn't so hot."

She adds: "Academia is merely one way to distinguish yourself, and there are plenty of others. So if your GPA, or your school, doesn't stand out, look for additional avenues. Besides, you'll need to excel in multiple areas to get your resume selected."

The last piece is very important. Academia is only one way to distinguish yourself. Having a 3.0 GPA and winning the entepreneurial competition could be much better than getting a 4.0 GPA by being the teachers pet and having no other passion than getting a 4.0 GPA. On its own, a 4.0 GPA means nothing.

Snooki Versus Toni Morrison, Round One -- Vulture

2011-04-02T10:03:00.000-04:00

Snooki Versus Toni Morrison, Round One -- Vulture

Who gets paid more to speak at an university? Snooki from Jersey Shore or a Nobel-Prize winning novelist?

It's fun to think that the assumption of a lot of microeconomics is that people are rational.

Beautiful People Generally Happier, UT Researchers Find

2011-03-29T14:27:00.000-04:00

They say money can't buy happiness — but can good looks do the job?

via www.texasexes.org

Although this is interesting, it's sure to annoy econometricians.

IDC Forecasts Windows SmartPhone to be number #2 by 2015

2011-03-29T04:06:00.000-04:00

IDC - Press Release - prUS22762811

I thought I should store this so I can make fun of IDC four years from now.

The subfiles LaTeX package

2011-03-26T13:19:00.000-04:00

If your lifetime plan includes writing an article or a book, you may need to learn how write a rather large document in LaTeX. Or maybe you are co-writing a document (Andrew and I did a big homework once and synchronizing files can be tricky).

One important thing is to use a file synchronizer like Windows Live Sync or Dropbox, but the other is to teach LaTeX to use multiple files.

The subfiles package can help with that. The documentation for subfiles is here.

It allows you to write a master file and several subfiles that can be compiled independently, so you can work on and compile each subfile (for example, a chapter or a section) and see the results, and compile the master file to see the full book. A simple and useful example can be found in Wikibooks.

Libya rebels name US-based academic as finance chief | News by Country | Reuters

2011-03-23T12:16:00.000-04:00

The relations between First Quantum and the Democratic Republic of Congo have gone from bad to worse in recent months, after the country expropriated the miner’s $765 million Kolwezi copper tailings project in September. Blog

via af.reuters.com

I was going to be his TA this quarter. Well, if he wants me, I'll still be!

U.S. Reacts to Nuclear Danger: Panic for Potassium Iodide - TIME

2011-03-17T10:39:00.000-04:00

The good news in Japan was that the winds had been pushing the radiated plumes from the stricken Fukushima Daiichi nuclear power plant out into the Pacific Ocean, away from populated areas. The winds would likely prevent more harm from happening to the earthquake-and-tsunami-battered region.

via www.time.com

The law of demand in action: a bottle of iodide pill went from $6 to $140 in the West Coast.

Tutorial: Portfolio Optimization Using R

2011-03-16T00:27:00.000-04:00

I wrote a tutorial on how to implement some portfolio optimizers in R for a class. The tutorial implements three types of factor models:

A Fama-French three factor model

An industry cross-sectional model

A principal component analysis model

This is for instructional purposes only: it's not a software for you to plug in your portfolio and start investing. However, if you make millions doing so, I wouldn't mind a 10% cut.

Two things that are not in the tutorial but that are important if you really want to implement something for real use are:

Selecting the data that will be used for optimization (I use the Dow Jones Industrial Average from 2006 to 2010)

Optimizing Sharpe ratios by combining the portfolio with a risk-free asset (such as T-bills)

Download Factor Models

The Durbin Amendment

2011-03-14T09:52:00.000-04:00

I recently had to prepare a paper about the impacts of the Dodd-Frank legislation for a class. Rather randomly, I chose the Durbin Amendment, a provision that increases regulation on the debit card market. What I learned about the debit and credit card market was fascinating.

The amendment passed into law in July 2010 and the Fed is now discussing how it will be regulated, and this is where the relevant points appear. For example, the amendment requires a price cap on the fees that merchants have to pay, but it doesn't say how much. The average fee in 2010 was about 44 cents, and the Fed set the cap at 12 cents, cutting heavily into the profits of (I can safely say) your bank. As a consequence, you may pay more for checking, but is this really bad?

Download Durbin Amendment

Managerial economics (B ECON 300) class notes

2011-03-10T04:57:00.000-05:00

It is very possible that many of my Managerial Economics students will scour the web for class notes (instead of using the course website). And maybe, just maybe, after spending some time on Wikipedia's article on Managerial Economics and in some random essay mills, they may find the lecture notes here.

It's very possible that looking at the course website would have been faster, but the course website is not integrated with Facebook and not accessible through Google, so I'm just making it easy on them.

Download Managerial Economics Lecture Notes

Quantitative Easing Explained

2011-03-09T17:41:00.000-05:00

via www.youtube.com

The part about the CPI is priceless.

(sorry about the cheap pun!)

xkcd: Advertising

2011-03-08T17:44:00.000-05:00

via xkcd.com

Nothing more annoying for a mathematician (of sorts) than the "up to 15% or more"...

The joy of copulas: An R tutorial

2011-03-08T08:38:00.000-05:00

I explore copulas by creating a model with four funds that track market indexes
for stocks, bonds, dollar and commodities. I then use the model to generate simulated values
and test the performance of a model portfolio using the real returns and the simulated returns
to calculate the value at risk (VaR) and the expected shortfall (ES).

Download Copulas

Can Windows Live Writer Beta cross-post seamlessly?

2008-12-15T02:05:00.001-05:00

I’m now using Windows Live Writer Beta to write my blog entries. This new year will be crazy. Another child, MBA, Ph.D. application, maybe a new job. That’s likely to be too much for the best of us, so anything that saves even a little time helps.

Windows Live Messenger v8.1 Beta:

2006-11-02T13:22:00.000-05:00

Ah, uma nova versão do meu produto preferido - o Windows Live Messenger. Algumas novidades:

- Seu "nome" e foto aparecem de qualquer computador que você entre.

- Contact cards estão mais bonitinhos e aparentemente mais fáceis de usar.

Aparentemente tem mais algumas mudanças "internas" e um bug com o Flash que acontece só no Vista. Estou usando o vista, mas ainda não vi o bug. O fix está abaixo (copiei do blog do Messenger):

------

Vista users please follow the work around below to avoid the "DEP flash crash".

1. Uninstall Flash Player (Click Start->Control Panel->Uninstall a Program, then select Flash Player)

2. Close Windows Live Messenger and any other programs that use Flash

3. Open Adobe public Flash Player beta site

4. Click "Download Installer for Windows Active X" to install

------

Link to Inside Windows Live Messenger:

Starbucks em São Paulo?

2006-05-25T16:57:00.000-04:00

Java Chip Frappuccino... :-)

http://noticias.uol.com.br/economia/ultnot/2006/05/25/ult82u5937.jhtm

O Michael não morreu

2006-05-25T10:46:00.000-04:00

Foi interessante o episódio de ontem. Obviamente deixou mais perguntas abertas do que resolvidas. O Michael não morreu, mas tem pelo menos três personagens que podem ter ido pro beleléu. Curioso foi o pessoal falando em português no final.

Anuncio antecipadamente que o Michael morre no episódio de hoje

2006-05-24T14:15:00.000-04:00

Sério. É básico de script. Crime e castigo. Quando não dá pra resolver a história de uma maneira boa, os escritores em geral matam o personagem, exceto o Stephen King e o Tolkien . O Stephen King destrói o mundo (com uma combinação aleatória de gripes, alienígenas e Tommyknockers) e o Tolkien apela pra umas águias convenientes. Deus Ex Machina.

Não deve ter Deus Ex Machina pro Michael. Então é cova mesmo.

PCC libera banho de sol para habitantes de São Paulo

2006-05-23T18:06:00.000-04:00

A pedido do governador, que ameaçou se rebelar e fazer uma greve de fome televisionada, o PCC liberou o banho de sol para habitantes da cidade de São Paulo. A razão alegada foi que muitos presos do PCC assistem televisão e acham greve de fome de governador muito chata. Preferem Big Brother.

Usando o Moleskine como carteira

2006-05-23T10:08:00.000-04:00

Até agora, bem legal.

As a good neighbor, State Farm is there... doing nothing!

2006-05-22T21:51:00.000-04:00

Primeiro de tudo devo dizer que não foi tão ruim assim. Podia ser bem pior.

Ontem o carro da Ilanah quebrou na estação do Tri-Rail (que é uma meleca). Então ligamos para a State Farm para pedir um serviço de recuperação de bateria. Eles não fazem o serviço e nos transferiram para um terceiro, uma empresa de guincho. As pessoas da empresa de guincho não conheciam o endereço da estação do Tri-Rail. É o equivalente, em São Paulo, a dizer:

- Oi, eu preciso de um guincho, estou na estação de metrô da Barra Funda.
- Senhor, eu preciso do endereço
- Grr... Okay, é na Marquês de S. Vicente
- Que número?
- Ah, a estação é grande, é entre o 1000 e o 1500
- Senhor, eu preciso do número exato
- 1232.7645
- Senhor?
- Sim?
- Esse número não existe.
- Tenta sem o decimal
- Também não existe, senhor.
- Então tenta 1233
- Ah, funcionou. Tem algum ponto de referência próximo?
- Acho que tem uma estação do metrô, serve?
- Sim, estação de metrô é um ótimo ponto de referência, fica bem fácil de achar. Próximo de qual estação o senhor está?

Depois disso, começou o inferno da cobrança.

- Senhor, qual é a forma de pagamento?
- Quais são as minhas escolhas?
- Dinheiro ou cartão.
- Quanto vai ser?
- $75 dólares. (A State Farm reembolsa).
- Cartão, não ando com isso em dinheiro.
- Qual o número do cartão?
- XXX...
- Qual o tipo do cartão
- YYY
- Pode repetir o número?
- XXX
- Qual o seu nome?
- Lucas Perin
- Berin?
- Perin.
- Derin?
- Perin. P-E-R-I-N.
- Denim, como o jeans?
- Perin, com P de elefante.
- Senhor?
- Esquece. Vou pagar em dinheiro.
- Ah, ok... (digitando). Senhor, perdi o endereço. Vamos ter que começar tudo de novo.

Desnecessário dizer que a essas alturas a Ilanah já tinha ido no K-Mart e comprado um cabo. Acabei cancelando o chamado. Juro que cancelo o seguro também, tão logo eu possa.